Renzo G. Avesani

The Use of Mortgage Covered Bonds

The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit...

On the Evolution of Credibility and Flexible Exchange Rate Target Zones

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A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket

This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the def...

FIRST

A Market-Based Approach to Evaluate Financial System Risk and Stability

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) a...

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector as...